Limiting Distribution of the Maximum Drawdown for Brownian Motion with Positive Drift

A new working paper by Dr Hans-Peter Bermin (Chief Risk Officer, Hilbert Group) and Dr Magnus Holm (Co-Founder, Hilbert Group) shows that the maximum drawdown of a standard asset-price model converges to a Gumbel distribution, meaning  extreme losses follow a predictable statistical pattern.

This insight  provides practical tools for estimating worst-case drawdowns  over long horizons and strengthens the quantitative foundations behind Hilbert’s risk-managed investment strategies.

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https://portal.research.lu.se/sv/publications/limiting-distribution-of-the-maximum-drawdown-for-brownian-motion/